Portfolio Performance Report - 100d Window
24 Dec, 1998 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (100d)	BL (100d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	94.0%	99.0%

Cumulative Return	703.05%	325.25%	545.36%	328.23%	696.09%
CAGR﹪	8.65%	5.93%	7.7%	5.96%	8.61%

Sharpe	0.54	0.4	0.48	0.41	0.59
Prob. Sharpe Ratio	99.65%	97.82%	99.16%	97.94%	99.83%
Smart Sharpe	0.5	0.38	0.44	0.38	0.55
Sortino	0.76	0.57	0.68	0.57	0.83
Smart Sortino	0.71	0.53	0.63	0.53	0.77
Sortino/√2	0.54	0.4	0.48	0.41	0.58
Smart Sortino/√2	0.5	0.37	0.44	0.38	0.54
Omega	1.11	1.08	1.09	1.08	1.12

Max Drawdown	-52.53%	-53.78%	-55.19%	-51.15%	-46.3%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2003-03-11	2009-03-09
Max DD Period Start	2007-10-15	2007-10-10	2007-10-10	2000-03-28	2007-12-11
Max DD Period End	2011-02-15	2013-03-04	2012-08-15	2013-10-17	2011-02-10
Longest DD Days	1233	2450	2404	4952	1270
Volatility (ann.)	18.49%	18.54%	19.52%	18.25%	16.28%
Calmar	0.16	0.11	0.14	0.12	0.19
Skew	-0.23	-0.11	-0.01	-0.19	-0.37
Kurtosis	11.25	12.25	11.16	10.83	13.98

Expected Daily	0.03%	0.02%	0.03%	0.02%	0.03%
Expected Monthly	0.69%	0.48%	0.62%	0.48%	0.69%
Expected Yearly	8.02%	5.51%	7.15%	5.53%	7.99%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-1.88%	-1.89%	-1.99%	-1.86%	-1.65%
Expected Shortfall (cVaR)	-3.33%	-3.33%	-3.33%	-3.33%	-3.33%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.11	1.08	1.09	1.08	1.12
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.96	0.96	0.92	0.93	0.95
Outlier Win Ratio	4.04	3.98	3.82	4.28	4.67
Outlier Loss Ratio	3.93	4.01	3.7	3.78	4.41

MTD	4.06%	2.57%	5.17%	4.49%	3.88%
3M	9.22%	10.94%	12.06%	11.85%	11.66%
6M	11.55%	14.12%	16.79%	9.55%	12.2%
YTD	3.77%	3.83%	6.85%	8.0%	5.82%
1Y	17.82%	18.42%	29.36%	24.61%	12.77%
3Y (ann.)	9.62%	6.31%	10.76%	10.63%	8.35%
5Y (ann.)	12.6%	9.1%	14.72%	16.58%	13.17%
10Y (ann.)	10.92%	9.29%	12.72%	9.61%	11.68%
All-time (ann.)	8.65%	5.93%	7.7%	5.96%	8.61%

Best Day	11.19%	11.37%	14.52%	11.73%	9.82%
Worst Day	-11.95%	-12.93%	-10.94%	-13.81%	-13.32%
Best Month	13.04%	13.95%	12.7%	15.44%	12.46%
Worst Month	-16.39%	-14.06%	-16.52%	-18.16%	-13.4%
Best Year	30.86%	26.5%	32.31%	40.91%	33.0%
Worst Year	-34.26%	-33.84%	-36.79%	-33.37%	-27.7%

Avg. Drawdown	-2.22%	-2.3%	-2.03%	-3.25%	-1.94%
Avg. Drawdown Days	28	45	32	74	26
Recovery Factor	-	-	-	-	-
Ulcer Index	0.11	0.14	0.17	0.21	0.11
Serenity Index	0.69	0.41	0.47	0.27	0.59

Avg. Up Month	3.76%	3.5%	3.79%	3.58%	3.52%
Avg. Down Month	-4.23%	-4.28%	-4.45%	-4.15%	-3.66%
Win Days	54.65%	53.14%	54.27%	53.16%	54.83%
Win Month	63.37%	60.73%	62.71%	60.42%	64.98%
Win Quarter	72.55%	64.71%	70.59%	61.62%	75.0%
Win Year	77.78%	66.67%	77.78%	76.92%	80.77%

EOY Returns

Year	EQW	^DJI	SPY	MV (100d)	BL (100d)
1998	1.14	-0.21	0.09	0.00	0.00
1999	16.53	23.80	20.19	28.55	0.67
2000	3.63	-4.22	-7.41	7.34	14.66
2001	-4.84	-5.12	-10.11	-21.99	-10.73
2002	-16.76	-15.11	-20.83	-21.80	-17.28
2003	26.32	23.95	26.20	16.67	23.38
2004	13.88	3.69	10.78	17.03	14.88
2005	8.13	-0.08	5.25	11.26	5.09
2006	15.60	15.58	15.21	3.06	14.28
2007	10.41	7.29	6.28	3.81	11.58
2008	-34.59	-34.13	-37.36	-36.77	-28.29
2009	29.39	20.17	26.93	14.61	20.35
2010	16.55	11.76	15.63	11.39	15.03
2011	5.72	7.59	4.53	18.16	8.09
2012	14.42	7.69	15.64	3.32	15.38
2013	27.51	24.03	28.62	22.72	29.13
2014	13.12	7.84	13.27	9.03	16.47
2015	0.18	-1.07	2.41	-9.16	2.85
2016	13.25	13.38	12.18	4.86	11.55
2017	17.07	22.61	19.88	12.05	16.15
2018	-5.74	-4.20	-3.23	-4.55	-5.75
2019	25.63	20.94	27.97	14.45	24.73
2020	16.52	13.82	22.47	41.62	26.65
2021	26.88	17.94	26.11	23.26	26.58
2022	-8.85	-7.24	-17.13	-2.27	-6.62
2023	16.52	13.49	24.11	12.90	6.33
2024	3.78	3.81	6.73	7.84	5.74

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-10-15	2011-02-15	-52.53	1220
2020-02-20	2020-11-06	-36.34	261
2001-05-22	2004-10-05	-36.27	1233
2022-03-30	2023-07-21	-19.19	479
2011-07-08	2012-02-02	-18.61	210
2018-09-24	2019-04-03	-17.70	192
2001-02-02	2001-05-15	-13.71	103
2000-01-11	2000-03-31	-13.70	81
2015-05-22	2016-04-15	-13.06	330
1999-07-19	2000-01-07	-11.32	173

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (100d)

Started	Recovered	Drawdown	Days
2000-03-28	2013-10-17	-51.15	4952
2020-02-19	2020-06-04	-29.87	107
2022-06-09	2024-02-08	-25.26	610
2015-01-23	2017-05-31	-19.50	860
2018-01-29	2019-09-23	-15.05	603
2000-01-04	2000-02-09	-11.52	37
1999-08-24	1999-11-05	-10.90	74
2014-07-01	2014-11-04	-10.07	127
2020-09-03	2020-11-23	-9.10	82
2022-01-05	2022-03-03	-8.84	58

BL (100d)

Started	Recovered	Drawdown	Days
2007-12-11	2011-02-10	-46.30	1158
2001-05-22	2004-11-11	-37.51	1270
2020-02-18	2020-07-31	-35.60	165
2022-04-21	2024-02-23	-21.42	674
1999-07-19	2000-08-11	-19.32	390
2011-07-08	2012-02-16	-16.90	224
2018-09-21	2019-03-20	-16.19	181
2000-12-29	2001-05-15	-13.13	138
2015-07-17	2016-03-16	-11.03	244
2018-01-29	2018-07-05	-9.10	158